For mingw32, the import libraries are named libeay32.a and
libssl32.a. To keep setup.py simple, rename these to
liblibeay32.a and libssleay32.a, respectively, when you
install them into c:\pkg\openssl\lib. If you do not wish to do
this, then modify setup.py directly to change the libraries line in
the section quoted above.

With MSVC++, the OpenSSL DLLs, as built, are named libeay32.dll
and ssleay32.dll. With mingw32, the DLLs are named
libeay32.dll and libssl32.dll. Install these somewhere on
your PATH; by convention, I place them in c:\bin, together with
openssl.exe. It is best to make ssleay32.dll and
libssl32.dll copies of each other.